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1 MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY AND SUBSIDIARIES CONDENSED CONSOLIDATED STATUTORY FINANCIAL STATEMENTS As of September 30, 2014 and December 31, 2013, for the nine months ended September 30, 2014 and 2013 and for the year ended December 31, 2013

7 NOTES TO CONDENSED CONSOLIDATED STATUTORY FINANCIAL STATEMENTS 1. Nature of operations Massachusetts Mutual Life Insurance Company (MassMutual) and its subsidiaries provide life insurance, disability income insurance, long-term care insurance, annuities, retirement products, investment management, mutual funds and trust services to individual and institutional customers. MassMutual is organized as a mutual life insurance company. 2. Summary of significant accounting policies a. Basis of presentation The condensed consolidated statutory financial statements include the accounts of MassMutual and its whollyowned United States of America (U.S.) domiciled life insurance subsidiary, C.M. Life Insurance Company, and its wholly-owned subsidiary, MML Bay State Life Insurance Company (collectively, the Company). All intercompany transactions and balances for these consolidated entities have been eliminated. Other subsidiaries and affiliates are accounted for under the equity method in accordance with statutory accounting principles. Statutory financial statements filed with regulatory authorities are not presented on a consolidated basis. The condensed consolidated statutory financial statements and notes as of September 30, 2014, and for the nine months ended September 30, 2014 and 2013, are unaudited. These condensed consolidated statutory financial statements, in the opinion of management, reflect the fair presentation of the financial position, results of operations, changes in surplus and cash flows for the interim periods. These condensed consolidated statutory financial statements and notes should be read in conjunction with the consolidated statutory financial statements and notes thereto included in the Company s 2013 audited year end financial statements as these condensed consolidated statutory financial statements disclose only significant changes from year end The results of operations for the interim periods should not be considered indicative of results to be expected for the full year. The Condensed Consolidated Statutory Statements of Financial Position as of December 31, 2013 and the Condensed Consolidated Statutory Statements of Cash Flows for the year ended December 31, 2013 have been derived from the audited consolidated financial statements at that date, but do not include all of the information and footnotes required by statutory accounting practices for complete financial statements. For the full description of accounting policies, see Note 2. "Summary of significant accounting policies" of Notes to Consolidated Statutory Financial Statements included in the Company s 2013 audited consolidated year end financial statements. 6

8 b. Corrections of errors and reclassifications Under statutory accounting principles, corrections of prior year errors are recorded in current year surplus on a pretax basis with any associated tax impact reported through earnings. For the nine months ended September 30, 2014, the Company recorded a net decrease to surplus of $64 million primarily related to policyholders reserves. The following summarizes corrections of prior year errors for the nine months ended September 30, 2013: Increase (Decrease) to: Correction Prior Current of Asset Year Year or Liability Income Surplus Balances Policyholders' reserves $ 22 $ 22 $ (22) Premium income (ceded) (18) (18) 18 Other invested assets 2 2 (2) Total $ 6 $ 6 $ (6) 3. New accounting standards a. Adoption of new accounting standards In December 2013, the National Association of Insurance Commissioners (NAIC) issued Statement of Statutory Accounting Principles (SSAP) No. 105, Working Capital Finance Investments, which establishes statutory accounting principles for working capital finance investments. This statement also amends SSAP No. 20, Nonadmitted Assets, to allow working capital finance investments as admitted assets to the extent they conform to the requirements of SSAP No This new guidance was effective January 1, 2014, and did not have an impact on the Company s financial statements. In December 2013, the NAIC adopted modifications to SSAP No. 26, Bonds, Excluding Loan-Backed and Structured Securities, to clarify the amortization requirements for bonds with make-whole call provisions and bonds that are continuously callable. These revisions do not allow insurers to consider make-whole call provisions in determining the timeframe for amortizing bond premium or discount unless information is known by the reporting entity indicating that the issuer is expected to invoke the provision. These clarifying changes were effective January 1, 2014, and did not have a significant impact on the Company s financial statements. 7

10 Sales proceeds and related gross realized capital gains (losses) from bonds were as follows: Nine Months Ended September 30, Proceeds from sales $ 3,741 $ 6,042 Gross realized capital gains from sales Gross realized capital losses from sales (41) (175) The following is a summary of the fair values and gross unrealized losses aggregated by bond category and length of time that the securities were in a continuous unrealized loss position: September 30, 2014 Less Than 12 Months 12 Months or Longer Number Number Fair Unrealized of Fair Unrealized of Value Losses Issuers Value Losses Issuers ($ In Millions) U.S. government and agencies $ 558 $ 3 5 $ 174 $ 4 4 All other governments States, territories and possessions Special revenue Industrial and miscellaneous 10, ,108 5, Parent, subsidiaries and affiliates Total $ 11,197 $ 163 1,202 $ 6,867 $ Note: The unrealized losses include $25 million of losses embedded in the carrying value, which include $23 million from NAIC Category 6 bonds and $2 million from RMBS and CMBS whose ratings were obtained from outside modelers. December 31, 2013 Less Than 12 Months 12 Months or Longer Number Number Fair Unrealized of Fair Unrealized of Value Losses Issuers Value Losses Issuers ($ In Millions) U.S. government and agencies $ 1,820 $ 51 7 $ 53 $ 3 3 All other governments States, territories and possessions Special revenue Industrial and miscellaneous 17, ,320 2, Parent, subsidiaries and affiliates Total $ 20,432 $ 884 1,581 $ 3,485 $ Note: The unrealized losses include $41 million of losses embedded in the carrying value, which include $39 million from NAIC Category 6 bonds and $2 million from RMBS and CMBS whose ratings were obtained from outside modelers. 9

11 Based on the Company s policies, as of September 30, 2014 and December 31, 2013, the Company has not deemed these unrealized losses to be other than temporary because the investment s carrying value is expected to be realized based on the Company's analysis and the Company has the ability and intent not to sell these investments until recovery, which may be at maturity. As of September 30, 2014, investments in structured and loan-backed securities that had unrealized losses, which were not recognized in earnings, had a fair value of $5,952 million. Securities in an unrealized loss position for less than 12 months had a fair value of $3,694 million and unrealized losses of $43 million. Securities in an unrealized loss position for greater than 12 months had a fair value of $2,258 million and unrealized losses of $73 million. These securities were primarily categorized as industrial and miscellaneous or parent, subsidiaries and affiliates. As of December 31, 2013, investments in structured and loan-backed securities that had unrealized losses, which were not recognized in earnings, had a fair value of $4,964 million. Securities in an unrealized loss position for less than 12 months had a fair value of $3,685 million and unrealized losses of $76 million. Securities in an unrealized loss position for greater than 12 months had a fair value of $1,279 million and unrealized losses of $72 million. These securities were primarily categorized as industrial and miscellaneous or parent, subsidiaries and affiliates. In the course of the Company s investment management activities, securities may be sold and reacquired within 30 days of the sale date to enhance the Company s yield on its investment portfolio. The Company did not sell any securities with the NAIC Designation 3 or below for the nine months ended September 30, 2014 or the year ended December 31, 2013, that were reacquired within 30 days of the sale date. Residential mortgage-backed exposure RMBS are included in the U.S. government, special revenue, and industrial and miscellaneous bond categories. The Alt-A category includes option adjustable rate mortgages and the subprime category includes 'scratch and dent' or reperforming pools, high loan-to-value pools, and pools where the borrowers have very impaired credit but the average loan-to-value is low, typically 70% or below. In identifying Alt-A and subprime exposure, management used a combination of qualitative and quantitative factors, including FICO scores and loan-to-value ratios. As of September 30, 2014, RMBS had a total carrying value of $2,491 million and a fair value of $2,840 million, of which approximately 23%, based on carrying value, was classified as Alt-A. Alt-A and subprime RMBS had a total carrying value of $1,115 million and a fair value of $1,333 million. As of December 31, 2013, RMBS had a total carrying value of $2,963 million and a fair value of $3,301 million, of which approximately 25%, based on carrying value, was classified as Alt-A. Alt-A and subprime RMBS had a total carrying value of $1,378 million and a fair value of $1,587 million. b. Common stocks - subsidiaries and affiliates Common stocks of unconsolidated subsidiaries, primarily MassMutual Holding LLC (MMHLLC), are accounted for using the statutory equity method. The Company accounts for the value of MMHLLC at its underlying U.S. generally accepted accounting principles equity value adjusted to remove certain nonadmitted and intangible assets, as well as a portion of its noncontrolling interests (NCI) and appropriated retained earnings, after consideration of MMHLLC s fair value and the Company s capital levels. The Commonwealth of Massachusetts Division of Insurance has affirmed the statutory recognition of the Company s application of the NCI guidelines in MMHLLC s statutory carrying value. However, the Company has limited this recognition to $2,363 million and $2,157 million as of September 30, 2014 and December 31, 2013, respectively. The current fair value of MMHLLC remains significantly greater than its statutory carrying value. MassMutual received $50 million of cash dividends, recorded in net investment income, from MMHLLC through the nine months ended September 30, No dividend was received from MMHLLC through the nine months ended September 30,

12 MMHLLC s subsidiaries are involved in litigation and investigations arising in the ordinary course of their business, which seeks both compensatory, and punitive damages and equitable remedies. Although the Company is not aware of any actions or allegations that reasonably should give rise to a material adverse impact to the Company s Condensed Consolidated Statutory Statements of Financial Position or liquidity, the outcome of litigation cannot be foreseen with certainty. It is the opinion of management that the ultimate resolution of these matters will not materially impact the Company s Condensed Consolidated Statutory Statements of Financial Position or liquidity. However, the outcome of a particular proceeding may be material to the Company s Condensed Consolidated Statutory Statements of Changes in Surplus for a particular period depending upon, among other factors, the size of the loss or liability and the level of the Company s changes in surplus for the period. On April 16, 2010, a lawsuit was filed in New York state court against OppenheimerFunds, Inc. (OFI), its subsidiary HarbourView Asset Management Corporation (HVAMC) and AAArdvark IV Funding Limited (AAArdvark IV) in connection with the investment made by TSL (USA) Inc., an affiliate of National Australia Bank Limited, in AAArdvark IV. The complaint alleges breach of contract, breach of the covenant of good faith and fair dealing, gross negligence, unjust enrichment and conversion. The complaint sought compensatory and punitive damages, along with attorney fees. The court has dismissed certain equitable claims against OFI and HVAMC, leaving only the claims for breach of contract. Plaintiffs filed an amended complaint with additional contractual claims. In October 2011, defendants moved to dismiss the complaint to the extent it sought damages in the form of a return of the plaintiffs full principal investment. In December 2011, plaintiffs filed a motion for partial summary judgment. In January 2012, the court granted, in part, the defendants motion to dismiss and denied plaintiffs motion for partial summary judgment. In April 2012, plaintiffs filed a motion for leave to file a third amended complaint, which added a fraud claim and additional allegations in support of plaintiffs contract claims. In August 2012, plaintiffs and defendants separately filed motions for partial summary judgment. In April 2013, the court (i) denied plaintiffs motion for summary judgment; (ii) granted defendants motion of summary judgment, dismissing plaintiffs fraud claim with prejudice and dismissing their contract claim without prejudice and (iii) granted plaintiffs leave to replead to assert a cause of action for specific performance within 30 days. In May 2013, the plaintiffs filed a notice of appeal of the court s April 2013 order of dismissal. In January 2014, the appellate court affirmed the lower court s dismissal order. In March 2014, the parties executed an omnibus release and settlement agreement and filed a stipulation of discontinuance dismissing the lawsuit with prejudice. The settlement did not have an effect on the Company s financial statements. On July 15, 2011, a lawsuit was filed in New York State Supreme Court against OFI, HVAMC and AAArdvark I Funding Limited (AAArdvark I), in connection with investments made by TSL (USA) Inc. and other investors in AAArdvark I. The complaint alleges breach of contract against each of the defendants and seeks compensatory damages and costs and disbursements, including attorney fees. In October 2011, defendants moved to dismiss the complaint to the extent it seeks damages in the form of a return of the plaintiffs full principal investment. In January 2012, the court granted in part defendants motion to dismiss. In July 2012, the parties participated in a mediation of their dispute, which did not result in a settlement. In March 2013, plaintiffs filed an amended complaint, which added a fraud claim and alleged additional facts in support of plaintiffs contract claim. In March 2014, the parties executed an omnibus release and settlement agreement and filed a stipulation of discontinuance dismissing the lawsuit with prejudice. The settlement did not have an effect on the Company s financial statements. 11

15 e. Net realized capital losses after tax and transfers to interest maintenance reserve Net realized capital losses including other-than-temporary impairment(s) (OTTI) were comprised of the following: Nine Months Ended September 30, Bonds $ 166 $ (54) Preferred stocks 1 16 Common stocks - subsidiaries and affiliates 8 13 Common stocks - unaffiliated Mortgage loans (9) (30) Real estate Partnerships and LLCs 9 (29) Derivatives 221 (648) Other (83) (38) Net realized capital gains (losses) before federal and state taxes and deferral to the IMR 340 (691) Net federal and state tax (expense) benefit (54) 52 Net realized capital gains (losses) before deferral to the IMR 286 (639) Net after tax (gains) losses deferred to the IMR (332) 459 Net realized capital losses $ (46) $ (180) The interest maintenance reserve (IMR) liability balance was $602 million as of September 30, 2014 and $491 million as of December 31, 2013 and was included in other liabilities on the Condensed Consolidated Statutory Statements of Financial Position. OTTI, included in the net realized capital losses above, consisted of the following: Nine Months Ended September 30, Bonds $ (25) $ (28) Common stocks (3) (5) Mortgage loans (10) (33) Partnerships and LLCs (40) (26) Total OTTI $ (78) $ (92) For the nine months ended September 30, 2014 and 2013, the Company recognized $14 million of OTTI on structured and loan-backed securities, which are included in bonds, primarily due to the present value of expected cash flows being less than the amortized cost. 14

16 f. Derivatives The Company uses derivative financial instruments in the normal course of business to manage risks, primarily to reduce currency, interest rate and duration imbalances determined in asset/liability analyses. The Company also uses a combination of derivatives and fixed income investments to create synthetic investment positions. These combined investments are created opportunistically when they are economically more attractive than the actual instrument or when the simulated instruments are unavailable. Synthetic assets can be created either to hedge and reduce the Company's credit exposure or to create an investment in a particular asset. The Company held synthetic assets with a net notional amount of $6,985 million as of September 30, 2014 and $4,228 million as of December 31, Of this amount, $6,037 million as of September 30, 2014 and $3,068 million as of December 31, 2013, were considered replicated asset transactions as defined under statutory accounting principles as the pairing of a long derivative contract with a cash instrument held. The Company s derivative strategy employs a variety of derivative financial instruments, including interest rate swaps, currency swaps, equity and credit default swaps, options, interest rate caps and floors, forward contracts and financial futures. Investment risk is assessed on a portfolio basis and individual derivative financial instruments are not generally designated in hedging relationships; therefore, as allowed by accounting rules, the Company intentionally has not applied hedge accounting. The Company s principal derivative market risk exposures are interest rate risk, which includes the impact of inflation, and credit risk. Interest rate risk pertains to the change in fair value of the derivative instruments as market interest rates move. The Company is exposed to credit-related losses in the event of nonperformance by counterparties to derivative financial instruments. To minimize credit risk, the Company and its derivative counterparties generally enter into master agreements that require collateral to be posted in the amount owed under each transaction, subject to minimum transfer amounts. These same master agreements allow for contracts in a positive position, in which the Company is due amounts, to be offset by contracts in a negative position. This right of offset, combined with collateral obtained from counterparties, reduces the Company s exposure. Net collateral pledged by the counterparties was $1,665 million as of September 30, 2014 and $739 million as of December 31, In the event of default the full market value exposure at risk in a net gain position, net of offsets and collateral, was $89 million as of September 30, 2014 and $59 million as of December 31, The statutory reporting rules define net amount at risk as net collateral pledged and statement values excluding accrued interest. The net amount at risk was $553 million as of September 30, 2014 and $358 million as of December 31, The Company regularly monitors counterparty credit ratings and exposures, derivative positions and valuations and the value of collateral posted to ensure counterparties are credit-worthy and the concentration of exposure is minimized. The Company monitors this exposure as part of its management of the Company s overall credit exposures. 15

17 The following summarizes the carrying values and notional amounts of the Company s derivative financial instruments: September 30, 2014 Assets Liabilities Carrying Notional Carrying Notional Value Amount Value Amount Interest rate swaps $ 6,375 $ 60,448 $ 4,366 $ 64,066 Options , Currency swaps 154 2, ,501 Forward contracts 101 3, Credit default swaps 17 1, Financial futures - long positions - 1, Financial futures - short positions Total $ 7,106 $ 80,025 $ 4,471 $ 67,575 December 31, 2013 Assets Liabilities Carrying Notional Carrying Notional Value Amount Value Amount Interest rate swaps $ 6,191 $ 59,741 $ 4,626 $ 54,907 Options 231 9, Currency swaps ,272 Forward contracts ,483 Credit default swaps 13 1, Financial futures - long positions - 2, Financial futures - short positions Total $ 6,536 $ 74,433 $ 4,822 $ 61,542 In most cases, the notional amounts are not a measure of the Company s credit exposure. The exceptions to this are credit default swaps that are in the form of a replicated asset and mortgage-backed forwards. In the event of default, the Company is fully exposed to the notional amounts of $2,461 million as of September 30, 2014 and $2,398 million as of December 31, Collateral is exchanged for all derivative types except mortgage-backed forwards. For all other contracts, the collateral amounts exchanged are calculated on the basis of the notional amounts and the other terms of the instruments, which relate to interest rates, exchange rates, security prices or financial or other indices. The weighted average fair value of outstanding derivative financial instrument assets was $6,756 million for the nine months ended September 30, 2014 and $8,046 million for the nine months ended September 30, The weighted average fair value of outstanding derivative financial instrument liabilities was $4,657 million for the nine months ended September 30, 2014 and $5,708 million for the nine months ended September 30,

24 9. Related party transactions No significant changes. 10. Reinsurance No significant changes. 11. Policyholders liabilities a. Liabilities for deposit-type contracts In April 2014, the Company issued a dual tranche $750 million funding agreement, supporting two medium-term notes. One tranche was $500 million with a 5-year maturity and a 2.35% fixed rate coupon, and the other tranche was $250 million with a 10-year maturity and a 3.6% fixed rate coupon. In June 2014, the Company increased the authorized program amount for the Global Medium-Term Note Program to $17 billion from $12 billion. b. Additional liability for annuity contracts Certain variable annuity contracts include additional death or other insurance benefit features, such as guaranteed minimum death benefits (GMDBs), guaranteed minimum income benefits (GMIBs), guaranteed minimum accumulation benefits (GMABs) and guaranteed minimum withdrawal benefits (GMWBs). In general, these benefit guarantees require the contract or policyholder to adhere to a company-approved asset allocation strategy. Election of these benefits on annuity contracts is generally only available at contract issue. The following shows the liabilities for GMDBs, GMIBs, GMABs and GMWBs (in millions): Liability as of January 1, 2013 $ 567 Incurred guarantee benefits (286) Paid guarantee benefits (4) Liability as of December 31, Incurred guarantee benefits 104 Paid guarantee benefits (2) Liability as of September 30, 2014 $ 379 The Company held reserves in accordance with the stochastic scenarios as of September 30, 2014 and December 31, As of September 30, 2014 and December 31, 2013, the Company held additional reserves above those indicated based on the stochastic scenarios in order to maintain a prudent level of reserve adequacy. 23

25 The following summarizes the account values, net amount at risk and weighted average attained age for variable annuity contracts with GMDBs, GMIBs, GMABs and GMWBs classified as policyholders reserves and separate account liabilities. The net amount at risk is defined as the minimum guarantee less the account value calculated on a policy-by-policy basis, but not less than zero. September 30, 2014 December 31, 2013 Net Weighted Net Weighted Account Amount Average Account Amount Average Value at Risk Attained Age Value at Risk Attained Age ($ In Millions) GMDB $ 20,860 $ $ 21,746 $ GMIB 4, , GMAB 2, , GMWB The GMDB account value above consists of $4,078 million within the general account and $16,782 million within separate accounts that includes $4,912 million of modified coinsurance. 12. Debt On September 26, 2014, MassMutual signed a $1 billion, five year credit facility, with a syndicate of lenders that can be used for general corporate purposes and to support commercial paper borrowings. The credit facility replaces an existing $1 billion credit facility, which was due to expire in Employee benefit plans Net periodic cost The net periodic cost represents the annual accounting income or expense recognized by the Company and included in general insurance expenses. The net periodic cost in the Condensed Consolidated Statutory Statements of Income is as follows: Nine Months Ended September 30, Pension Other Postretirement/ Benefits Postemployment Benefits Service cost $ 54 $ 55 $ 7 $ 8 Interest cost Expected return on plan assets (107) (102) - - Amortization of unrecognized transition obligation Amortization of unrecognized net actuarial and other losses Amortization of unrecognized prior service cost Total net periodic cost $ 81 $ 99 $ 23 $ Employee compensation plans No significant changes. 24

26 15. Federal income taxes No significant changes. 16. Transferable state tax credits No significant changes. 17. Business risks, commitments and contingencies a. Risks and uncertainties The Company operates in a business environment subject to various risks and uncertainties. Such risks and uncertainties include, but are not limited to, currency exchange risk, interest rate risk and credit risk. Interest rate risk is the potential for interest rates to change, which can cause fluctuations in the value of investments and amounts due to policyholders. To the extent that fluctuations in interest rates cause the duration of assets and liabilities to differ, the Company manages its exposure to this risk by, among other things, asset/liability management techniques that account for the cash flow characteristics of the assets and liabilities. This condensed risks and uncertainties disclosure should be read in conjunction with the consolidated statutory disclosure in the Company s 2013 audited year end financial statements. Currency exchange The Company has currency risk due to its non-u.s. dollar investments and medium-term notes along with its indirect international subsidiaries. The Company mitigates currency risk through the use of cross-currency swaps and forward contracts. Cross-currency swaps are used to minimize currency risk for certain non-u.s. dollar assets and liabilities through a pre-specified exchange of interest and principal. Forward contracts are used to hedge movements in exchange rates. Investment and interest rate risks As interest rates increase, certain debt securities may experience slower amortization or prepayment speeds than assumed at purchase, impacting the expected maturity of these securities and the ability to reinvest the proceeds at the higher yields. Rising interest rates may also result in a decrease in the fair value of the investment portfolio. As interest rates decline, certain debt securities may experience accelerated amortization and prepayment speeds than what was assumed at purchase. During such periods, the Company is at risk of lower net investment income as it may not be able to reinvest the proceeds at comparable yields. Declining interest rates may also increase the fair value of the investment portfolio. 25

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